Continuity problem for singular BSDE with random terminal time

MaRDI QIDQ5043557zbMATH OpenFDO

Authors Sharoy Augustine Samuel, Alexandre Popier, Ali Devin Sezer

Publication date 6 October 2022

Full work available at URL https://arxiv.org/abs/2011.05200, https://alea.impa.br/articles/v19/19-49.pdf

zbMATH Keywords

backward stochastic differential equationcontinuity problemsingularitystopping time

Mathematics Subject Classification ID

Singular elliptic equations (35J75) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic processes (60G99) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic analysis (60H99)

Abstract: We study a class of nonlinear BSDEs with a superlinear driver process f adapted to a filtration F and over a random time interval 0, S where S is a stopping time of F. The terminal condition $xi$ is allowed to take the value +$infty$, i.e., singular. Our goal is to show existence of solutions to the BSDE in this setting. We will do so by proving that the minimal supersolution to the BSDE is a solution, i.e., attains the terminal values with probability 1. We consider three types of terminal values: 1) Markovian: i.e., $xi$ is of the form $xi$ = g($Xi$ S) where $Xi$ is a continuous Markovian diffusion process and S is a hitting time of $Xi$ and g is a deterministic function 2) terminal conditions of the form $xi$ = $infty$ $imes$ 1 {$au$ $le$S} and 3) $xi$ 2 = $infty$ $imes$ 1 {$au$ >S} where $au$ is another stopping time. For general $xi$ we prove the minimal supersolution is continuous at time S provided that F is left continuous at time S. We call a stopping time S solvable with respect to a given BSDE and filtration if the BSDE has a minimal supersolution with terminal value $infty$ at terminal time S. The concept of solvability plays a key role in many of the arguments. Finally, we discuss implications of our results on the Markovian terminal conditions to solution of nonlinear elliptic PDE with singular boundary conditions.

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Cited in

(11)

• Backwards SDE with random terminal time and applications to semilinear elliptic PDE
• Backward stochastic differential equations with non-Markovian singular terminal conditions for general driver and filtration
• Limit behaviour of the minimal solution of a BSDE with singular terminal condition in the non Markovian setting
• Backward stochastic differential equations with random stopping time and singular final condition
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• A note on BSDEs with singular driver coefficients
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• BSDEs with Singular Terminal Condition and a Control Problem with Constraints
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